Twist rope around an object
This specific structure is a bit complicated by using normal methods, such as other guys suggested, However, you can do it quite well by a combination of a few modifiers:


Create the unit model for half round of the bandage;
Subdivide, tweak position of each vertex;
Model the other half round of that bandage.
Add Shrinkwarp, Array and Solidify modifier.








Tip: Shrinkwrap modifier is always not so "accurate" by default, but using VGroup with weights assigned will make things more flexible.



example file